OneStep: Return the forecast for one of the given sample points of the...

In gamalamboy/stresstest: Implement the ETI Stress Testing Simulation

Description

This function creates the forecast path for the given period as a sequence of 1-step forecasts, given a parameter vector ≤ft( β_{i}, Σ_{i} \right).

Usage

OneStep(dats_withexo, Zmat, nuyears, nulags, gibbs_mean, gibbs_var, ofore_index,
  datindex, Zindex)

Arguments

dats_withexo	this function accepts a matrix containing 1) the historical data, and 2) the projected forecast space with NA's in all values except for exogenous variables.
Zmat	a template for the design matrix.
nuyears	the number of years to forecast.
nulags	the lag length of the VAR(p).
gibbs_mean	a vector of estimated parameter means β.
gibbs_var	an estimated covariance matrix Σ.
ofore_index	a linear index mapping the data columns with the variables to be forecasted.
datindex	a linear index mapping the data columns to the model structure.
Zindex	a linear index mapping the nonzero entries of the design matrix.

Details

Do not call this function directly. It is made to be used within ForecastGibbs() .

Value

a matrix with the estimated forecasts for each value, of dimension (<number_of_forecasted_years>, <number_of_equations>).

gamalamboy/stresstest documentation built on May 17, 2019, 1:33 p.m.